Ole Barndorff-Nielsen

Ole Eiler Barndorff-Nielsen (born March 18, 1935 in Copenhagen ) is a Danish mathematician whose specialty is statistics . He is the namesake of the Barndorff-Nielsen formula for maximum likelihood estimators and the Barndorff-Nielsen-Shephard model of stochastic volatilities named after him and Neil Shephard .

Career

Barndorff-Nielsen in August 2007

After Barndorff-Nielsen graduated from university with a mathematics and science student exam in 1954, he began studying at the University of Aarhus , which he obtained in June 1960 with the academic degree of Mag. Scient. graduated in mathematics and mathematical statistics. At the same time he worked between 1954 and 1958 in the department of biostatistics at the Statens Serum Institute and then until 1960 as an assistant at the University of Copenhagen .

From July 1960 Barndorff-Nielsen worked as a lecturer at the mathematics institute at Aarhus University. In 1973 he was appointed professor and took over the chair in the department of theoretical statistics. In the following years he was involved in national and international organizations. He is a member of the Royal Danish Academy of Sciences , the Academia Europaea, and was President of the Bernoulli Society for Mathematical Statistics and Probability in the early 1990s . In 1997 he was elected chairman of the European Research Centers on Mathematics and the European Mathematical Society .

Teaching and Research

At the beginning of his academic career, Barndorff-Nielsen dealt with the basics of statistics, but also with special distribution classes such as those of the exponential type (exponential family). With his work on hyperbolic distribution and the development of the so-called “Generalized hyperbolic distribution”, he laid the foundation for more profound mathematical modeling, e.g. B. of turbulence and the description of the distribution of returns .

At the beginning of the 1980s, Barndorff-Nielsen appeared primarily in the field of asymptotic statistics. In 1983 he developed a formula for maximum likelihood estimators given ancillary statistics , which was later named after him. With David Cox he authored influential books on asymptotic statistics techniques.

Since the 1990s, Barndorff-Nielsen appeared with publications on the theory of Lévy processes and worked on statistical models for the evaluation of experiments in quantum physics .

In recent times Barndorff-Nielsen dealt with the statistical analysis of semimartingales, in particular he dealt with the estimation of certain sizes in Ito processes. This involves, for example, estimating the integrated volatility of an Ito process.

His current research papers deal primarily with the statistical investigation of stochastic processes that are not semi-martingales. A very flexible class of stochastic processes that are generally not semi-martingals is the class of ambit processes. Special and important subclasses are Brownian semistationary processes, or more generally Levy semistationary processes. Originally motivated by the modeling of turbulence and cancerous ulcers, these processes represent a very topical research area in mathematical statistics.

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personal data
SURNAME	Barndorff-Nielsen, Ole
ALTERNATIVE NAMES	Barndorff-Nielsen, Ole Eiler (full name)
BRIEF DESCRIPTION	Danish mathematician
DATE OF BIRTH	March 18, 1935
PLACE OF BIRTH	Copenhagen , Denmark